Estimation of the Regression Scale After a Pre-Test for Homoscedasticity Under Linex Loss

In this paper we consider the risk of an estimator of the error variance after a pre-test for homoscedasticity of the variances in the two-sample heteroscedastic linear regression model. This particular pre-test problem has been well investigated but always under the restrictive assumption of a squared error loss function. We consider an asymmetric loss function - the LINEX loss function - and derive the exact risks of various estimators of the error variance.


Issue Date:
Dec 01 1992
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
29
Series Statement:
9211




 Record created 2017-09-28, last modified 2017-09-28

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